Web: http://arxiv.org/abs/2201.08671

Jan. 24, 2022, 2:10 a.m. | Alireza Koochali, Peter Schichtel, Andreas Dengel, Sheraz Ahmed

cs.LG updates on arXiv.org arxiv.org

The recent developments in the machine learning domain have enabled the
development of complex multivariate probabilistic forecasting models.
Therefore, it is pivotal to have a precise evaluation method to gauge the
performance and predictability power of these complex methods. To do so,
several evaluation metrics have been proposed in the past (such as Energy
Score, Dawid-Sebastiani score, variogram score), however, they cannot reliably
measure the performance of a probabilistic forecaster. Recently, CRPS-sum has
gained a lot of prominence as a …

art arxiv case study forecasting noise random study

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